Lombardi, Marco J.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2002
that was suggested to capture this behavior refers to the so-called Fractionally Integrated GARCH processes (Baillie … (1981) for processes for the mean are applied to a GARCH framework. In this paper we derive analytic expressions for the … second-order derivatives of the log-likelihood function of FIGARCH processes with a view to the advantages that can be gained …